[Highfrequency-commits] r138 - pkg/highfrequency/man

[noreply at r-forge.r-project.org]

Author: kboudt
Date: 2015-06-29 14:11:26 +0200 (Mon, 29 Jun 2015)
New Revision: 138

Added:
   pkg/highfrequency/man/rQPQuar.Rd
   pkg/highfrequency/man/rTPQuar.Rd
Log:
Code update Giang after bug report. 

Added: pkg/highfrequency/man/rQPQuar.Rd
===================================================================
--- pkg/highfrequency/man/rQPQuar.Rd	                        (rev 0)
+++ pkg/highfrequency/man/rQPQuar.Rd	2015-06-29 12:11:26 UTC (rev 138)
@@ -0,0 +1,49 @@
+\name{rQPQuar}
+\alias{rQPQuar}
+\title{
+Realized quad-power quarticity of highfrequency return series. 
+}
+\description{
+ 
+Function returns the realized quad-power quarticity, defined in Huang and Tauchen (2005) and Andersen et al. (2012).
+
+Assume there is \eqn{N} equispaced returns in period \eqn{t}. Let \eqn{r_{t,i}} be a return (with \eqn{i=1, \ldots,N}) in period \eqn{t}.
+
+Then, the rQPQuar is given by
+\deqn{
+\mbox{rQPQuar}_{t}=\frac{N^2}{N-3} \left( 2^{1/2} \frac{\Gamma \left(1 \right)}{ \Gamma \left(1/2\right)} \right)^{-4} \sum_{i=4}^{N} \mbox({|r_{t,i}|} {|r_{t,i-1}|} {|r_{t,i-2}|} {|r_{t,i-3}|})
+}
+}
+\usage{
+rQPQuar (rdata, align.by=NULL, align.period=NULL, makeReturns=FALSE,...)
+}
+
+\arguments{
+  \item{rdata}{a zoo/xts object containing all returns in period t for one asset.}
+  \item{align.by}{a string, align the tick data to "seconds"|"minutes"|"hours"}
+  \item{align.period}{an integer, align the tick data to this many [seconds|minutes|hours].}  
+  \item{makeReturns}{boolean, should be TRUE when rdata contains prices instead of returns. FALSE by   default.} 
+  \item{...}{additional arguments.}
+}
+
+\value{
+numeric
+}
+\references{
+Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75- 93.
+
+Huang, X. and Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.
+}
+\author{
+Giang Nguyen, Jonathan Cornelissen and Kris Boudt
+}
+
+\examples{
+data(sample_tdata)
+rQPQuar(rdata= sample_tdata$PRICE, align.by= "minutes", align.period =5, makeReturns= TRUE)
+rQPQuar
+}
+% Add one or more standard keywords, see file 'KEYWORDS' in the
+% R documentation directory.
+\keyword{ highfrequency }
+\keyword{ rQPQuar}

Added: pkg/highfrequency/man/rTPQuar.Rd
===================================================================
--- pkg/highfrequency/man/rTPQuar.Rd	                        (rev 0)
+++ pkg/highfrequency/man/rTPQuar.Rd	2015-06-29 12:11:26 UTC (rev 138)
@@ -0,0 +1,49 @@
+\name{rTPQuar}
+\alias{rTPQuar}
+\title{
+Realized tri-power quarticity of highfrequency return series.
+}
+\description{
+ 
+Function returns the realized tri-power quarticity, defined in Huang and Tauchen (2005) and Andersen et al. (2012).
+
+Assume there is \eqn{N} equispaced returns in period \eqn{t}. Let \eqn{r_{t,i}} be a return (with \eqn{i=1, \ldots,N}) in period \eqn{t}.
+
+Then, the rTPQuar is given by
+\deqn{
+\mbox{rTPQuar}_{t}=\frac{N^2}{N-2} \left( 2^{2/3} \frac{\Gamma \left(7/6\right)}{ \Gamma \left(1/2\right)} \right)^{-3} \sum_{i=3}^{N} \mbox({|r_{t,i}|}^{4/3} {|r_{t,i-1}|}^{4/3} {|r_{t,i-2}|}^{4/3})
+}
+}
+\usage{
+rTPQuar (rdata, align.by=NULL, align.period=NULL, makeReturns=FALSE,...)
+}
+
+\arguments{
+  \item{rdata}{a zoo/xts object containing all returns in period t for one asset.}
+  \item{align.by}{a string, align the tick data to "seconds"|"minutes"|"hours"}
+  \item{align.period}{an integer, align the tick data to this many [seconds|minutes|hours].}  
+  \item{makeReturns}{boolean, should be TRUE when rdata contains prices instead of returns. FALSE by   default.} 
+  \item{...}{additional arguments.}
+}
+
+\value{
+numeric
+}
+\references{
+Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75- 93.
+
+Huang, X. and Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.
+}
+\author{
+Giang Nguyen, Jonathan Cornelissen and Kris Boudt
+}
+
+\examples{
+data(sample_tdata)
+rTPQuar(rdata= sample_tdata$PRICE, align.by= "minutes", align.period =5, makeReturns= TRUE)
+rTPQuar
+}
+% Add one or more standard keywords, see file 'KEYWORDS' in the
+% R documentation directory.
+\keyword{ highfrequency }
+\keyword{ rTPQuar}